Applying a Macro-Finance Yield Curve to UK Quantitative Easing
Applying a Macro-Finance Yield Curve to UK Quantitative Easing
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将宏观金融收益率曲线应用于英国量化宽松
DOI：
10.1016/j.jbankfin.2013.11.008
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Alex Waters
中科院分区：
文献类型：
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作者：
J. Chadha;Alex Waters
我们估算了 1993 年至 2008 年英国名义和实际远期曲线的宏观金融收益率曲线模型。我们的模型能够容纳许多关键的宏观经济变量，使我们能够估计收益率曲线的瞬时响应，从而衡量量化宽松对远期利率的影响。我们发现 10 年期名义利率平均降低了 46 个基点，这在很大程度上可以通过三个主要渠道来解释：投资组合平衡；流动性溢价和信号，但对实际利率没有太大影响。
We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.